my favorite part is winning. the harder the game, the more enjoyable the success is. like devil may cry 4, while not entirely difficult it was the first time i had ever played a devil may cry game and so wasn't used to what was going on. some of the later bosses in the game were hard for me, and it was frustrating as hell. but i kept playing and finally triumphed and it felt so good.
so yea, winning is the best part. right after that would be the adventure of the gameplay and seeing what's next. that feeling is most prominent in big games like GTA or Zelda or something.